EP 1627275 A4 20080903 - INTELLIGENT SIMULATION ANALYSIS METHOD AND SYSTEM

Title (en)

INTELLIGENT SIMULATION ANALYSIS METHOD AND SYSTEM

Title (de)

INTELLIGENTES SIMULATIONSANALYSEVERFAHREN UND SYSTEM

Title (fr)

PROCEDE ET SYSTEME D'ANALYSE DE SIMULATION INTELLIGENTE

Publication

EP 1627275 A4 20080903 (EN)

Application

EP 04718121 A 20040305

Priority

US 2004006972 W 20040305
US 45223903 P 20030305

Abstract (en)

[origin: WO2004079552A2] A method for calculating pricing information for a financial instrument consisting of a plurality of underlying financial instruments that includes the steps of calculating a default time vector for a plurality of default scenarios wherein each default time vector includes a measure of a likelihood of default for each of the plurality of underlying financial instruments; calculating one or more cash flows for a subset of the default scenarios thereby forming a training set; training a neural network with the training set; and using the neural network to estimate one or more cash flows for a remaining number of the plurality of default scenarios.

IPC 8 full level

G06Q 40/00 (2012.01)

IPC 8 main group level

G06F (2006.01)

CPC (source: EP US)

G06Q 40/00 (2013.01 - EP US); G06Q 40/04 (2013.01 - EP US); G06Q 40/06 (2013.01 - EP US); G06Q 50/12 (2013.01 - EP US)

Citation (search report)

[X] US 5761442 A 19980602 - BARR DEAN S [US], et al
[X] US 5461699 A 19951024 - ARBABI MANSUR [US], et al
[A] EP 1107157 A2 20010613 - IBM [US]
[A] US 2002174056 A1 20021121 - SEFEIN MARK [US], et al
[A] US 5761386 A 19980602 - LAWRENCE STEPHEN ROBERT [AU], et al
See references of WO 2004079552A2

Designated contracting state (EPC)

AT BE BG CH CY CZ DE DK EE ES FI FR GB GR HU IE IT LI LU MC NL PL PT RO SE SI SK TR

DOCDB simple family (publication)

WO 2004079552 A2 20040916; WO 2004079552 A3 20061026; EP 1627275 A2 20060222; EP 1627275 A4 20080903; JP 2007524897 A 20070830; US 2004236667 A1 20041125; US 7865415 B2 20110104

DOCDB simple family (application)

US 2004006972 W 20040305; EP 04718121 A 20040305; JP 2006509232 A 20040305; US 79313904 A 20040304